Get the new one and if it is one that you have to splice the wires together it isn't bad. cut the old wires off the old one. use a socket to get it off of where it is and put the new one in. Connect the wires properly and make sure to put electrical tape or shrink wrap on
Het is your friend for this. Uplug it first. Use a blowtorch to help break the rust and loosen the sensor. Wait till cherry red then loosen with a wrench.
Once you know which O2 sensor is bad it pretty easy. Start by unhooking the sensors plug. Then remove it from you exhaust pipe with the appropriate socket. Then install the new one according to the instructions.